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Dynamic linkages among equity markets in the Middle East and North African countries
11 references·11 citing·47 second hop
Dynamic linkages among equity markets in the Middle East and North African countries (2008)Dynamic linkages among equity markets in …Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures (2004)Dynamic Relationships among G…Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa (2003)Country risk and stock market…Interrelationships among regional stock indices (2002)Interrelationships among regi…A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis (2000)A study of cointegration and …Volatility in Emerging Stock Markets (1999)Volatility in Emerging Stock …Expected Returns and Volatility in 135 Countries (1996)Expected Returns and Volatili…Comovements in National Stock Market Returns: Evidence of Predictability But Not Cointegration (1996)Comovements in National Stock…State space modeling of multiple time series (1991)State space modeling of multi…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Recursive solution methods for dynamic linear rational expectations models (1989)Recursive solution methods fo…The Relationship Between Equity Indices on World Exchanges (1979)The Relationship Between Equi…An investigation of the frequency dynamics of spillovers and connectedness among GCC sectoral indices (2023)An investigation of the frequ…Inter- and intra-regional stock market relations for the GCC bloc (2020)Inter- and intra-regional sto…Regional and global integration of Asian stock markets (2019)Regional and global integrati…On the effect of herding behavior on dependence structure between stock markets: Evidence from GCC countries (2018)On the effect of herding beha…Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach (2017)Diversification potential of …Dependence patterns across Gulf Arab stock markets: A copula approach (2014)Dependence patterns across Gu…Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries (2013)Directional spillovers from t…Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE (2012)Return and volatility spillov…Literature review of stock market integration: a global perspective (2012)Literature review of stock ma…The patterns of cross-border portfolio investments in the GCC region: do institutional quality and the number of expatriates play a role? (2009)The patterns of cross-border …Day-of-the-Week and Month-of-the-Year Effect on the Kenyan Stock Market Returns (2009)Day-of-the-Week and Month-of-…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)The co-movement of stock markets in East Asia (2009)Emerging markets and financial crises: Regional, global or isolated shocks? (2012)Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks (2016)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Testing for a Unit Root in Time Series Regression (1988)Stock market integration and volatility spillover: India and its major Asian counterparts (2010)Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets (2011)Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5 (2015)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Stock Market Linkages in Emerging Markets: Implications for International Portfolio Diversification (2004)Mean reversion in stock prices: new evidence from panel unit root tests (2007)Subsampling hypothesis tests for nonstationary panels with applications to exchange rates and stock prices (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Power arch modelling of the volatility of emerging equity markets (2007)Country risk forecasting for major oil exporting countries: A decomposition hybrid approach (2011)The Econometrics of Financial Markets (2012)Institutional quality and environmental pollution: MENA countries versus the rest of the world (2013)Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)International Diversification of Investment Portfolios (1970)Why Not Diversify Internationally Rather Than Domestically? (1974)DOES THE OCTOBER 1987 CRASH STRENGTHEN THE CO‐MOVEMENTS AMONG NATIONAL STOCK MARKETS? (1993)Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets (1999)Long and short term dynamic causal transmission amongst international stock markets (2001)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Time Series Analysis: Forecasting and Control (1977)Estimating Monthly GDP In A General Kalman Filter Framework: Evidence From Switzerland (1999)Forecasting the Volatility of Australian Stock Returns (2006)Multiscale Granger causality (2017)Time-Varying World Market Integration (1995)International Portfolio Flows and Security Markets (1999)Privatization, political risk and stock market development in emerging economies (2001)The national market impact of sovereign rating changes (2003)Autoregressive conditional heteroskedasticity and changes in regime (1994)Time‐Varying World Market Integration (1995)Stock Market Openings: Experience of Emerging Economies (2000)Dating the integration of world equity markets (2002)Research in emerging markets finance: looking to the future (2002)U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis (2012)Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness (2014)The impact of oil-market shocks on stock returns in major oil-exporting countries (2018)
this work references cited by second hop

References

  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1999Volatility in Emerging Stock Markets735 cited
  • 1996Expected Returns and Volatility in 135 Countries346 cited
  • 1979The Relationship Between Equity Indices on World Exchanges339 cited
  • 2004Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures279 cited
  • 2000A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis179 cited
  • 2002Interrelationships among regional stock indices157 cited
  • 1991State space modeling of multiple time series116 cited
  • 2003Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa86 cited
  • 1996Comovements in National Stock Market Returns: Evidence of Predictability But Not Cointegration68 cited
  • 1989Recursive solution methods for dynamic linear rational expectations models37 cited

Cited by

  • 2012Literature review of stock market integration: a global perspective55 cited
  • 2017Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach55 cited
  • 2013Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries

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46 cited
  • 2018On the effect of herding behavior on dependence structure between stock markets: Evidence from GCC countries43 cited
  • 2014Dependence patterns across Gulf Arab stock markets: A copula approach38 cited
  • 2020Inter- and intra-regional stock market relations for the GCC bloc25 cited
  • 2012Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE25 cited
  • 2019Regional and global integration of Asian stock markets25 cited
  • 2009Day-of-the-Week and Month-of-the-Year Effect on the Kenyan Stock Market Returns24 cited
  • 2009The patterns of cross-border portfolio investments in the GCC region: do institutional quality and the number of expatriates play a role?24 cited
  • 2023An investigation of the frequency dynamics of spillovers and connectedness among GCC sectoral indices23 cited